A stochastic, or random, process describes the correlation or evolution of random events. It is used to model stock market fluctuations and electronic/audio-visual/biological signals. Among the most well-known stochastic processes are random walks and Brownian motion.

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1answer
25 views

Independence of linear combinations of Brownian motions

Let $0<s\leq t\leq u\leq v$ and $W_x$ be a Brownian motion. Show that $aW_s+bW_t$ and $\frac{1}{v}W_v-\frac{1}{u}W_u$ are independent for $a,b$ satisfying $as+bt=0$. The question seems easy but ...
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0answers
26 views

Independence of Poisson processes watched only some of the time

Let $(X_t)$ and $(Y_t)$ be independent homogeneous Poisson processes with rates $\lambda,\mu > 0$, and let $t_1, t_2, \dots$ and $t_1', t_2', \dots$ be two increasing sequences of possibly infinite ...
-3
votes
1answer
13 views

how to solve for Ut stochastic question [on hold]

The process given by dUt = 􀀀-rUtdt + sigmadXt; U0 = u; where r,sigma are constants how to solve this equation for Ut? Thank you
0
votes
1answer
13 views

What are the conditions for $E[\int_0^tf(W_s,s)dW_s]=0$?

Let $W_t$ be the standard Brownian Motion. I am interested on the conditions on $f(\cdot)$ that guarantee that the expectation of the Ito integral below is zero: ...
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0answers
10 views

What is “starting” static distribution?

I'm not sure if I call everything correctly in English in here, but i have a problem with stochastic processes - Markov chains to be more specific. I'm calculating the "starting" stationary ...
2
votes
1answer
21 views

Uniform integrability of the stopped compensated Poisson process

Let $N(t)$ be a Poisson process of rate $\lambda$ and consider the compensated Poisson process $$\bar{N}(t):= N(t) - \lambda t.$$ It was already shown in another post (Is a compensated Poisson ...
0
votes
1answer
18 views

Example of an adapted but not progressively measurable process

I'm looking for an example of a stochastic process $X$ that is $\mathbb{F}$-adapted, but not progressively measurable. One example I found is the following: $(\Omega, \mathfrak{A}) = (\mathbb{R^+}, ...
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0answers
14 views

Skorokhod vs Meyer zheng topology

I am new to the Skorokhod space and I want to know why Meyer-Zheng topology on the space of càdàg functions is weaker than the standard Skorokhod topology. Thanks in advance!
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0answers
7 views

Class properties Markov chain [on hold]

How can we show that an open class in a Markov chain is transient (both for finite and infinite)?
1
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1answer
16 views

Show that $M_{t}=\max_{0\leq s\leq t}B_{s}$ is adapted to the natural Brownian filtration.

Let $\left(B_{t}\right)_{t\geq0}$ a Brownian motion. Show that $M_{t}=\max_{0\leq s\leq t}B_{s}$ is adapted to the natural Brownian filtration. Remark: I try the following: It suffices to show ...
0
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0answers
7 views

No drift brownian motion and minimization at a given time [on hold]

Given two same brownian motion with no drift and different variances: $$(dG_1/G_1)= \sigma_1dW_g $$ $$(dG_2/G_2)= \sigma_2dW_g $$ At a specific given time $ T = \tau $, how can I tell if ...
4
votes
1answer
50 views

Expectation of an Itô integral

I'm interested in computing the following expectation: $$\mathbb{E}\left[W_T\cdot\int_0^T f(s)\mathrm{d}W_s\right].$$ Here $\{W_t\}_{t\ge 0}$ is a standard $\mathbb{R}$-valued Brownian motion and ...
-1
votes
1answer
27 views

What is the distribution of $B(t_1)+B(t_2)+…+B(t_n)$ [on hold]

$\{ B(t), t\ge 0\}$ is a standard Browian Motion Process. What is the distribution of $B(t_1)+B(t_2)+...+B(t_n)$ ?
0
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0answers
10 views

linear second moment of zero mean stochastic process with independent, stationary increments

I'm working on the following problem: Let $X$ be a zero mean stochastic process with independent and stationary increments. I want to prove that the function $t \mapsto \mathbb{E}X_t^2$ is linear. I ...
-1
votes
1answer
23 views

counterexample to conditional expectation

Let F,G be some $\sigma-algebra$ is it true that in general $E\left(E\left(X\mid G\right)\mid F\right)\neq E\left(X\mid F\cap G\right)$? I think it's not, however I can't provide a counter example
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votes
0answers
21 views

limit of sum of a brownian motion

Let $W_t$ be a wiener process and let $\pi$ be a partition of the segment $[0,T]:0\leq t_1\leq...\leq t_n=T$ I need to show without using the martingale property that the term below tends to $0$ in ...
0
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0answers
3 views

Limit distribution of absolute value maximum of stationary non-differentiable Gaussian process

Consider a real-valued stationary Gaussian Process $\{ X(t) \colon t \geq 0 \}$ with zero mean and unit variance and covariance function $r$ satisfying $r(t) = 1 - C|t|^{\alpha} + o(|t|^{\alpha}), ...
1
vote
1answer
89 views

Stationary Markov process properties

Let $X$ be a right-continuous process with values in $(E,\mathcal{E})$, defined on $(\Omega, \mathcal{F}_t,P)$. Suppose that $X$ has stationary, independent increments. I now want to show the ...
0
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0answers
8 views

Density of the Absorbed Process

The curiosity arose while reading the Ch.18 of Arbitrage Theory in Continuous Time 3/ed, dedicated to pricing Barrier Options. Definition 18.1 For any $y\in R$, the hitting time of y, $\tau(X,y)$, ...
4
votes
2answers
46 views

Implementing Ornstein–Uhlenbeck in Matlab

I am reading this article on Wikipedia, where three sample paths of different OU-processes are plotted. I would like to do the same to learn how this works, but I face troubles implementing it in ...
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4answers
54 views

A Stochastic Limiting Inequality Proof

Let $(X_p)_{p\ge 0}$ be a sequence of non-negative random variables with finite mean for each $p\ge 0$. Then $$\liminf_{p\to\infty} X_p^{\frac{1}{p}}\le \liminf_{p\to\infty}E(X_p)^{\frac{1}{p}}$$ ...
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0answers
15 views

why hull white model has normal distribution?

consider hull white model $dr(t)=[\theta(t)-\alpha(t)r(t)]dt+\sigma(t)dW(t)$ when we solve the SDE above we have $r(t)=e^{-\alpha t}r(0)+\frac{\theta}{\alpha}(1-e^{-\alpha t})+\sigma e^{-\alpha ...
0
votes
1answer
13 views

Inf is not a stopping time in general

If ${\tau_n}$ , $n=1,2,3...$ are stopping times to a given filtration $F_t$, why in general it's not true to claim that $\inf_n {\tau_n}$ is a stopping time also? Thanks
3
votes
1answer
49 views

A question related to reflection principle

Question: $$P(X_1\gt 0, ..., X_n\gt 0, X_n=a-b)=?$$ Its Answer: $= (1,1) \rightarrow (n,a-b) $ that meet neither touch nor cross paths. $=[(1,1) \rightarrow (n,a-b) \ \ \text{all ...
1
vote
1answer
19 views

Examples of predictable processes

I am asked to prove that the following processes are predictable. I am used to looking at stochastic processes as sequences of random variables (by fixing time) or as a collection of paths (by fixing ...
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0answers
13 views

Completion of a stochastic basis (Filtration)

Given a stochastic basis ($\Omega, \mathbb{F},(\mathbb{F_t})_{t \in \mathbb{R}},P$) with a right-continuous filtration, it is possible to construct a complete stochastic basis $\Omega, ...
3
votes
3answers
47 views

How to show $M_n = X_n^2-n$ is a martingale?

Let $X_n, n = 0, 1, 2, . . .$ denote an unbiased Normal Random Walk. $X_0 = 10$, and $X_{n+1} = X_n + Y_{n+1}$, with $\{Y_n\}$ are i.i.d. $N(0, 1)$. Then how can I show that: A) $M_n = X_n^2-n$ is a ...
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votes
0answers
37 views

Clarify a question's answer related to random walk. [closed]

I'm studying Problem5.3 and its solution. However, its solution is not clear for me. Please explanatorily show this answer . I need to learn such type of questions. Please help me. Thank you.
4
votes
1answer
59 views

A random walk question: what is the given probability?

Let $\{X_n\}_{n\in\Bbb N_0}$ be a simple random walk, given $n\in \Bbb N$ what is the probability $$ \mathbb P(X_1\ge0,X_2\ge0,\ldots, X_{2n-1}\ge0,X_{2n}=0) $$ I think that I should benefit from ...
0
votes
1answer
20 views

does brownian motion and poisson random measure have to be independent? [closed]

Suppose a brownian motion $W$ and a poisson random measure $\mu$ are defined on the same filtered probability space $(\Omega, \mathcal{F}, (\mathcal{F}_t), P)$, where both $W$ and $\mu$ are ...
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votes
0answers
41 views

Distinct states of a Markov chain [closed]

I don't understand this problem,mostly part a. Can you explain me?
-3
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1answer
52 views

Markov chain problem 13 [closed]

I have this problem I don't understand, Can you help me, please?
-1
votes
1answer
25 views

Ehrenfest chain [closed]

I tried to find the solution, but I don't understand how to get it, because the book (Introduction to stochastic processes) says that the answer is $P(X_1=x)$=$P(X_0=x)$, but it doesn't make sense ...
1
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1answer
60 views

Every zero-mean Lévy process has linear variance (wrt $t$)

I'd like to show that every Lévy process with $\mathbb{E}X_t=0, \:\forall t\ge0$ has linear variance, namely $t\mapsto\mathbb{E}X^2_t$ is linear. I showed that indeed the additivity holds, i.e. ...
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votes
1answer
35 views

About a probability space [closed]

Consider a probability space (Ω,A,P) and assume that the various sets mencioned below are all in A. (a) Show that if $D_i$ are disjoint and $P(C|Di)=p$ independently of i, then $P(C|⋃iDi)=p$. (b) ...
3
votes
1answer
33 views

Local maximum of brownian motions

Let $B=(B_t)_{t\geq 0}$ be the standard Brownian motion. I want to show that for every $t_0 \geq 0$ $\mathbb{P}$($B$ has a local maximum in $t_0$)=0. I've already shown that for every ...
0
votes
0answers
26 views

Stopping and optional times.

Let $(\Omega,\mathcal{F},\{\mathcal{F}_t\}_{t\geq0},P)$ be a filtered probability space. Put $\mathcal{F}_{t^+}:=\cap_{s>t}\mathcal{F}_s$ and $\{\mathcal{F}_{t^+}\}_{t\geq0}$ be the ...
1
vote
1answer
49 views

Concluding from limiting behavior

I've recently seen the following question on the internet: If I wanted to randomly find someone in an amusement park, would my odds of finding them be greater if I stood still or roamed around? ...
1
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1answer
155 views

Markov process on an Abelian group

Let $E$ be an Abelian group. Let $X$ be a right-continuous process with values in $(E,\mathcal{E})$ (where $\mathcal{E}$ denotes the $\sigma$-algebra on $E$), defined on $\Omega, \mathcal{F}_t,P)$. ...
0
votes
0answers
26 views

Absolute convergence of $\sum_{n=1}^{\infty} \mathbb{P}(|X|>n)$

I want to show that if $X \in L^1$, where $X$ is a real-valued random variable, the sum $\sum_{n=1}^{\infty} \mathbb{P}(|X|>n)$ converges absolute. My idea was the following: Since $X \in ...
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vote
0answers
40 views

How to do integration by parts with brownian motion?

I am not sure how to perform integration by parts in the following expression: $$ \left(1-t\right)\left(B_t - B_s + \int_s^t \frac{r}{1-r} \mathrm{d} B_r \right) $$ Can anyone help me to solve this ...
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0answers
8 views

Markov Semigroups worked example

I have been reading this excellent paper on Markov semigroups, in which the assertion is made that a markov semigroup $\mathcal{P: L^1 \longrightarrow L^1}$ is defined by $\frac {d\mu}{dm}$ for some ...
3
votes
2answers
42 views

Markov chains diagram - what are the numbers above arrows?

Most if not all articles describe the numbers above arrows as probabilities of a transition in that direction, such as this one, or this one. But here, for example, something really weird is ...
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0answers
16 views

Expected generation of extinction in branching process with binomial offspring

Consider a branching process with immediate offspring distribution $\xi \sim \operatorname{Bin}(m, p)$, where $m$ is a constant. Let $\phi(s)$ be the generating function of $\xi$, i.e. $\phi(s) = (1 - ...
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0answers
17 views

Stochastic integral of local martingales is an extension

I'm trying to prove that the stochastic integral defined for the set of square integrable local martingales is really an extension of ordinary stochastic integral. Define $\mathcal{H}=\{(H_t)_{0\leq ...
4
votes
1answer
76 views

Application of the Burkholder Davis Gundy inequality

The proof of the Feynman-Kac formula uses a lemma which I need to proof, but I can not figure it out. The lemma is the folllowing: Let $X$ be a weak solution of ...
1
vote
1answer
13 views

Prove the following r-step transition

Let $X_0, X_1, X_2,...$ be a Markov Chain on state space $S=\{1, 2,..., n\}$ and let $P$ be the Transition Matrix of the above Markov chain Prove that $\Bbb{P}(X_{t+2}=j|X_t=i) = (P^2)_{ij} $ ...
0
votes
2answers
30 views

Distribuiton of stochastic integral

If $(W_t)_{t\geq 0}$ is a Wiener process, $X_0=0$ and for all $t$, $t>0$ and $\alpha>0$. $X_t=\int_0^t\frac{u^\alpha}{t}dW_u$. I have want to answer 2 questions: What is the distribution of ...
2
votes
0answers
23 views

weakly open subset in $M[0,1]$ (the space of finite measures on $[0,1]$)

I came across this question when reading Lynch and Sethuraman (1987): Large deviations for processes with independent increments. Let $M[0,1]$ be the space of finite nonnegative measures on $[0,1]$ ...
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0answers
14 views

Intuition behind Stationarity in Delayed Renewal Processes

I was going through excess life and renewal processes in my notes when I came across a proposition in my notes that said that given a delayed renewal process X with independant interarrival times ...